Liquidity, Price Discovery, Risk and Market Design
Course Instructors: Thierry Foucault (HEC Paris)
Area: Statistical and Econometric Methods
This course will focus on the following topics:
- Models of price discovery and illiquidity in financial markets
- Estimating the determinants of illiquidity with intraday data.
- Market design and policy (market transparency, algorithmic and high frequency trading, OTC vs. centralized trading).
- Real effects of liquidity and price discovery.
This course is targeted at Researchers in central banks, Ph.D. and Post-doctoral researchers, Assistant Professors, Research departments of private banks, EU officials.